Title speaks for itself.
Here is an illustration
and here is the line of code I'm using.
If MsgBox("Are you sure?", vbYesNo) = Yes Then Exit Sub
I'm also using EXTRA! X-treme
I'd have to guess that EXTRA! X-treme (wow! hyperbole much?!) is messing with the vb constants, or at least not respecting them if it is intercepting calls to the MsgBox function.
vbYesNo should be a constant numeric value of 4.
Also, instead of comparing the result of MsgBox to Yes, you should probably be comparing it to vbYes (numeric value of 6).
I think you're using VBA correctly (except for the vbYes part), so this might be an EXTRA! X-treme bug (or under-documented feature).
If MsgBox("Are you sure?", 4) = 6 Then Exit Sub